Shoot, I haven't tried that since 2005 and my information may be out of date. If I recall correctly, you have to do that on a cell-by-cell basis. Each Cell has a Style property.
I'll also repeat that I dislike DataGridViews and I feel that they are the bane of usability, so please think before using one. For what I was writing back in 2005, I switched to a TreeView and everything was sweetness and light.